I´m trying to render a model I did and also have tried with some cubes and the shadow works fine with some tweaks
This is what I have seen so far: When I apply the GI options 1. Sky and 2. Background, both of them are set to sky by default. If you look at the top of the option for ¨Sky¨ the överride sun´s parameter is checked for both GI options, what I have done is to turn off the one from the 2. Background and now seems to work ... however I´ve tried with different files and it does not seem to work constantly. On top of it I have been trying to copy the whole model to a new file (As I think I may have corrupted the file and I don´t know how to fix it, doesnt work even if I change the options) which will let me work with the shadow , but the old file is too big so I think I´ll have to re-do everything including the addition of materials 
Thanks ThomThom for your help, it is greatly appreciated! 